Edgar Filing: NUVEEN MUNICIPAL HIGH INCOME OPPORTUNITY FUND

nq2.htm

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-21449

Nuveen Municipal High Income Opportunity Fund

(Exact name of registrant as specified in charter)

Nuveen Investments

333 West Wacker Drive, Chicago, Illinois 60606

(Address of principal executive offices) (Zip code)

Kevin J. McCarthy

Vice President and Secretary

333 West Wacker Drive, Chicago, Illinois 60606

(Name and address of agent for service)

Registrant's telephone number, including area code: 312-917-7700

Date of fiscal year end: 10/31

Date of reporting period: 1/31/12

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

Item 1. Schedule of Investments


	Portfolio of Investments (Unaudited)
	Nuveen Municipal High Income Opportunity Fund (NMZ)
	January 31, 2012
Principal		Optional Call
Amount (000)	Description (1)	Provisions (2)	Ratings (3)	Value
	Alabama – 1.2% (1.0% of Total Investments)
$ 1,000	Adamsville Solid Waste Disposal Authority, Alabama, Solid Waste Disposal Revenue Bonds, Green	8/20 at 100.00	N/R	$ 985,360
	Mountain Management LLC Project,Series 2010, 8.750%, 8/01/30
1,000	Alabama Industrial Development Authority, Solid Waste Disposal Revenue Bonds, Pine City Fiber	7/12 at 100.00	B2	909,620
	Co. Project, Series 1993, 6.450%, 12/01/23 (Alternative Minimum Tax)
1,915	Bessemer, Alabama, General Obligation Warrants, Series 2007, 6.500%, 2/01/37	2/17 at 102.00	N/R	1,430,275
1,000	Jefferson County, Alabama, Limited Obligation School Warrants, Education Tax Revenue Bonds,	No Opt. Call	B	980,870
	Series 2004A, 5.250%, 1/01/14
4,915	Total Alabama			4,306,125
	Arizona – 6.1% (5.2% of Total Investments)
1,420	Arizona Health Facilities Authority, Hospital Revenue Bonds, Banner Health Systems, Tender	1/18 at 100.00	AA–	1,653,562
	Option Bond Trust 3256, 17.765%, 1/01/29 (IF)
1,760	Arizona Health Facilities Authority, Hospital Revenue Bonds, Banner Health Systems, Tender	1/18 at 100.00	AA–	2,357,238
	Option Bond Trust 4695, 19.114%, 1/01/32 (IF) (4)
366	Estrella Mountain Ranch Community Facilities District, Goodyear, Arizona, Special Assessment	7/12 at 100.00	N/R	368,826
	Lien Bonds, Series 2001A, 7.875%, 7/01/25
2,000	Maricopa County Industrial Development Authority, Arizona, Multifamily Housing Revenue Bonds,	5/12 at 100.00	N/R	1,877,340
	Privado Park Apartments Project, Series 2006A, 5.000%, 11/01/46 (Mandatory put 11/01/15)
6,720	Maricopa County Industrial Development Authority, Arizona, Senior Living Facility Revenue	1/14 at 100.00	CC	5,100,413
	Bonds, Christian Care Mesa II Inc., Series 2004A, 6.625%, 1/01/34 (Alternative Minimum Tax)
	Phoenix Industrial Development Authority, Arizona, Educational Revenue Bonds, Keystone
	Montessori School, Series 2004A:
100	6.375%, 11/01/13	5/12 at 103.00	N/R	100,999
790	7.250%, 11/01/23	11/16 at 100.00	N/R	795,056
1,715	7.500%, 11/01/33	11/16 at 100.00	N/R	1,703,801
550	Pima County Industrial Development Authority, Arizona, Charter School Revenue Bonds, Noah	12/14 at 100.00	BBB–	529,997
	Webster Basic Schools Inc., Series 2004, 6.125%, 12/15/34
305	Pima County Industrial Development Authority, Arizona, Charter School Revenue Bonds, Pointe	No Opt. Call	AA+ (5)	347,907
	Educational Services Charter School, Series 2004, 6.250%, 7/01/14 (ETM)
1,500	Pima County Industrial Development Authority, Arizona, Education Revenue Bonds, Carden	1/22 at 100.00	BBB–	1,477,860
	Traditional Schools Project, Series 2012, 7.500%, 1/01/42 (WI/DD, Settling 2/07/12)
	Pima County Industrial Development Authority, Arizona, Education Revenue Bonds, Paradise
	Education Center Project, Series 2010:
500	6.000%, 6/01/40	6/19 at 100.00	BBB–	454,025
500	6.100%, 6/01/45	6/19 at 100.00	BBB–	454,015
1,150	Pinal County Industrial Development Authority, Arizona, Correctional Facilities Contract	10/12 at 100.00	BBB–	1,154,025
	Revenue Bonds, Florence West Prison LLC, Series 2002A, 5.250%, 10/01/22 – ACA Insured
1,000	Quechan Indian Tribe of the Fort Yuma Reservation, Arizona, Government Project Bonds, Series	12/17 at 102.00	N/R	950,340
	2008, 7.000%, 12/01/27
1,000	Surprise Municipal Property Corporation, Arizona, Wastewater System Revenue Bonds, Series	4/14 at 100.00	N/R	1,022,030
	2007, 4.700%, 4/01/22
1,000	Tucson Industrial Development Authority, Arizona, Charter School Revenue Bonds, Arizona	9/14 at 100.00	BB+	947,110
	Agribusiness and Equine Center Charter School, Series 2004A, 5.850%, 9/01/24
22,376	Total Arizona			21,294,544
	California – 17.9% (15.2% of Total Investments)
1,000	Calfornia Enterprise Development Authority, Recovery Zone Facility Revenue Bonds, SunPower	No Opt. Call	N/R	1,067,380
	Cporporation – Headquarters Project, Series 2010, 8.500%, 4/01/31
1,810	California County Tobacco Securitization Agency, Tobacco Settlement Asset-Backed Bonds, Sonoma	6/15 at 100.00	B–	1,307,037
	County Tobacco Securitization Corporation, Series 2005, 5.125%, 6/01/38
545	California Health Facilities Financing Authority, Hospital Revenue Bonds, Downey Community	5/12 at 100.00	N/R (5)	508,283
	Hospital, Series 1993, 5.750%, 5/15/15 (Pre-refunded 5/15/12)
1,250	California Health Facilities Financing Authority, Refunding Revenue Bonds, Stanford Hospital	11/21 at 100.00	Aa3	1,788,150
	and Clinics, Tender Option Bond Trust 3267, 19.051%, 5/15/31 (IF)
3,425	California State University, Systemwide Revenue Bonds, Tender Option Bond Trust 4696, 17.018%,	5/15 at 100.00	Aa2	4,017,765
	11/01/35 – AMBAC Insured (IF) (4)
4,000	California Statewide Communities Development Authority, Revenue Bonds, EnerTech Regional	No Opt. Call	D	874,080
	Biosolids Project, Series 2007A, 5.500%, 12/01/33 (Alternative Minimum Tax) (6)
1,000	California Statewide Communities Development Authority, Statewide Community Infrastructure	9/21 at 100.00	N/R	1,026,100
	Program Revenue Bonds, Series 2011A, 8.000%, 9/02/41
2,925	California Statewide Community Development Authority, Revenue Bonds, Epidaurus Project, Series	3/14 at 102.00	N/R	3,002,542
	2004A, 7.750%, 3/01/34
515	California Statewide Community Development Authority, Revenue Bonds, Sutter Health, Tender	5/18 at 100.00	AA–	596,622
	Option Bond Trust 3048, 17.356%, 11/15/38 (IF)
	California Statewide Community Development Authority, Revenue Bonds, Sutter Health, Tender
	Option Bond Trust 3102:
745	17.684%, 11/15/38 (IF)	5/18 at 100.00	AA–	863,924
1,000	18.770%, 11/15/48 (IF)	5/18 at 100.00	AA–	1,218,680
1,005	California Statewide Community Development Authority, Subordinate Lien Multifamily Housing	1/14 at 100.00	N/R	996,015
	Revenue Bonds, Corona Park Apartments, Series 2004I-S, 7.750%, 1/01/34 (Alternative
	Minimum Tax)
500	Fontana Public Financing Authority, California, Tax Allocation Revenue Bonds, North Fontana	3/12 at 101.00	A+	513,880
	Redevelopment Project, Tender Option Bonds Trust 1013, 19.371%, 9/01/32 –
	AMBAC Insured (IF) (4)
1,000	Goden State Tobacco Securitization Corporation, California, Enhanced Tobacco Settlement	6/15 at 100.00	Aa1	1,029,620
	Asset-Backed Revenue Bonds, Tender Option Bonds Trust 3107, 17.663%, 6/01/45 –
	AMBAC Insured (IF)
	Golden State Tobacco Securitization Corporation, California, Enhanced Tobacco Settlement
	Asset-Backed Revenue Bonds, Tender Option Bond Trust 1011:
750	17.301%, 6/01/45 (IF) (4)	6/15 at 100.00	A2	760,290
500	17.280%, 6/01/45 (IF) (4)	6/15 at 100.00	A2	506,850
	Golden State Tobacco Securitization Corporation, California, Tobacco Settlement Asset-Backed
	Bonds, Series 2007A-1:
1,750	5.000%, 6/01/33	6/17 at 100.00	B–	1,311,030
500	5.750%, 6/01/47	6/17 at 100.00	B–	378,035
1,000	5.125%, 6/01/47	6/17 at 100.00	B–	681,210
1,000	Golden State Tobacco Securitization Corporation, California, Tobacco Settlement Asset-Backed	6/22 at 100.00	BB–	684,640
	Bonds, Series 2007A-2, 0.000%, 6/01/37
1,500	Grossmont Healthcare District, California, General Obligation Bonds, Tender Option Bond Trust	No Opt. Call	Aa2	2,646,600
	3253, 22.584%, 1/15/19 (IF)
1,200	Lake Elsinore, California, Special Tax Bonds, Community Facilities District 2003-2 Improvement	9/13 at 102.00	N/R	1,202,604
	Area A, Canyon Hills, Series 2004A, 5.950%, 9/01/34
335	Lancaster Redevelopment Agency, California, Tax Allocation Bonds, Combined Redevelopment	8/19 at 100.00	BBB+	358,624
	Project Areas Housing Programs, Series 2009, 6.875%, 8/01/39
3,400	Lee Lake Water District, Riverside County, California, Special Tax Bonds, Community Facilities	9/13 at 102.00	N/R	3,464,430
	District 3, Series 2004, 5.950%, 9/01/34
1,000	Long Beach Bond Finance Authority, California, Natural Gas Purchase Revenue Bonds, Series	No Opt. Call	A–	1,088,730
	2007A, 5.500%, 11/15/37
1,125	Los Angeles Department of Airports, California, Revenue Bonds, Los Angeles International	5/20 at 100.00	AA	1,608,480
	Airport, Tender Option Bond Trust 10-27B, 18.745%, 5/15/40 (IF) (4)
3,190	Los Angeles Regional Airports Improvement Corporation, California, Sublease Revenue Bonds, Los	12/12 at 102.00	N/R	2,876,040
	Angeles International Airport, American Airlines Inc. Terminal 4 Project, Series 2002C,
	7.500%, 12/01/24 (Alternative Minimum Tax)
1,000	Lynwood Redevelopment Agency, California, Project A Revenue Bonds, Subordinate Lien Series	9/21 at 100.00	A–	1,159,020
	2011A, 7.000%, 9/01/31
	March Joint Powers Redevelopment Agency, California, March Air Force Base Redevelopment
	Project Tax Allocation Revenue Bonds, Series 2011A:
1,000	7.000%, 8/01/26	8/21 at 100.00	BBB+	1,173,780
1,000	7.500%, 8/01/41	8/21 at 100.00	BBB+	1,158,510
800	Moreno Valley Unified School District, Riverside County, California, Special Tax Bonds,	9/14 at 100.00	N/R	805,960
	Community Facilities District, Series 2004, 5.550%, 9/01/29
1,000	M-S-R Energy Authority, California, Gas Revenue Bonds, Citigroup Prepay Contracts, Series 2009B,	No Opt. Call	A–	1,216,580
	6.500%, 11/01/39
500	National City Community Development Commission, San Diego County, California, Redevelopment	8/21 at 100.00	A–	588,775
	Project Tax Allocation Bonds, Series 2011, 7.000%, 8/01/32
330	Novato Redevelopment Agency, California, Tax Allocation Bonds, Hamilton Field Redevelopment	9/21 at 100.00	A–	374,606
	Project, Series 2011, 6.750%, 9/01/40
1,000	Palomar Pomerado Health Care District, California, Certificates of Participation, Series 2010,	11/20 at 100.00	Baa3	1,024,490
	6.000%, 11/01/41
250	Palomar Pomerado Health, California, General Obligation Bonds, Tender Option Bond Trust 4683,	8/17 at 100.00	A+	298,760
	17.068%, 8/01/37 – NPFG Insured (IF) (4)
1,000	River Rock Entertainment Authority, California, Revenue Bonds, Senior Notes Series 2011B,	No Opt. Call	N/R	881,770
	8.000%, 11/01/18
1,000	Riverside County Public Financing Authority, California, Tax Allocation Bonds, Multiple	10/14 at 100.00	BBB	920,540
	Projects, Series 2004, 5.000%, 10/01/35 – SYNCORA GTY Insured
1,200	Riverside County Redevelopment Agency Jurupa Valley Project Area 2011, California, Tax	10/21 at 100.00	A–	1,327,308
	Allocation Bonds Series B, 6.750%, 10/01/30
	Sacramento City Financing Authority California, Lease Revenue Bonds, Master Lease Program
	Facilities Projects, Tender Option Bond Trust 4698:
750	17.970%, 12/01/30 – AMBAC Insured (IF) (4)	No Opt. Call	Aa3	1,184,520
2,015	18.451%, 12/01/33 – AMBAC Insured (IF) (4)	No Opt. Call	Aa3	3,012,103
	San Buenaventura, California, Revenue Bonds, Community Memorial Health System, Series 2011:
960	8.000%, 12/01/26	12/21 at 100.00	BB	1,134,691
1,000	8.000%, 12/01/31	12/21 at 100.00	BB	1,168,730
1,250	San Diego County, California, Certificates of Participation, San Diego-Imperial Counties	9/12 at 100.00	Baa1	1,255,413
	Developmental Services Foundation Project, Series 2002, 5.500%, 9/01/27
1,000	San Jose, California, Airport Revenue Bonds, Tender Option Bond Trust 3923, 17.931%, 9/01/31 –	3/17 at 100.00	AA–	1,158,880
	AMBAC Insured (IF) (4)
1,000	Santee Community Development Commission, California, Santee Redevelopment Project Tax	2/21 at 100.00	A	1,129,220
	Allocation Bonds, Series 2011A, 7.000%, 8/01/41
1,000	Temecula Redevelopment Agency, California, Tax Allocation Revenue Bonds, Redevelopment	2/12 at 100.00	A–	1,000,320
	Project 1, Series 2002, 5.250%, 8/01/36 – NPFG Insured
650	Twentynine Palms Redevelopment Agency, California, Tax Allocation Bonds, Four Corners Project	9/21 at 100.00	BBB+	729,781
	Area, Series 2011A, 7.650%, 9/01/42
3,895	West Patterson Financing Authority, California, Special Tax Bonds, Community Facilities	9/13 at 103.00	N/R	3,537,861
	District 2001-1, Series 2004A, 6.125%, 9/01/39
61,570	Total California			62,619,259
	Colorado – 6.3% (5.3% of Total Investments)
1,015	Bradburn Metropolitan District 3, Westminster, Adams County, Colorado, General Obligation	12/13 at 102.00	N/R	1,040,202
	Limited Tax Refunding Bonds, Series 2010, 7.500%, 12/01/39
6	Buffalo Ridge Metropolitan District, Colorado, Limited Obligation Assessment Bonds, Series	12/13 at 101.00	N/R (5)	6,688
	2003, 7.500%, 12/01/33 (Pre-refunded 12/01/13)
3,500	Colorado Educational and Cultural Facilities Authority, Charter School Revenue Bonds, Cesar	5/14 at 101.00	N/R	2,829,260
	Chavez Academy, Series 2003, 8.000%, 5/01/34 (6)
1,000	Colorado Educational and Cultural Facilities Authority, Charter School Revenue Bonds,	2/16 at 101.00	N/R	833,050
	Jefferson County School District R-1 – Compass Montessori Secondary School, Series 2006,
	5.625%, 2/15/36
1,000	Confluence Metropolitan District, Colorado, General Obligation Limited Tax Bonds, Series 2007,	12/17 at 100.00	N/R	775,280
	5.450%, 12/01/34
3,145	Kit Carson County Health Service District, Colorado, Health Care Facility Revenue Bonds,	No Opt. Call	N/R	3,148,554
	Series 2007, 6.750%, 1/01/34
1,250	Mesa County, Colorado, Residential Care Facilities Mortgage Revenue Bonds, Hilltop Community	12/12 at 100.00	N/R	1,221,775
	Resources Inc. Obligated Group, Series 2001A, 5.250%, 12/01/21 – RAAI Insured
1,000	Mountain Shadows Metropolitan District, Colorado, General Obligation Limited Tax Bonds, Series	12/16 at 100.00	N/R	826,010
	2007, 5.500%, 12/01/27
1,985	Park Creek Metropolitan District, Colorado, Limited Tax Obligation Revenue Bonds, Series	12/13 at 100.00	N/R	2,072,936
	2003CR-2, 7.875%, 12/01/32 (Mandatory put 12/01/13)
1,500	Plaza Metropolitan District 1, Lakewood, Colorado, Tax Increment Revenue Bonds, Series 2003,	6/14 at 101.00	N/R	1,551,510
	8.000%, 12/01/25
3,565	Public Authority for Colorado Energy, Natural Gas Purchase Revenue Bonds, Colorado Springs	No Opt. Call	A–	4,415,823
	Utilities, Series 2008, 6.500%, 11/15/38 (4)
500	Regional Transportation District, Colorado, Denver Transit Partners Eagle P3 Project Private	7/20 at 100.00	Baa3	561,445
	Activity Bonds, Series 2010, 6.500%, 1/15/30
625	Rendezous Residential Metropolitan District, Colorado, Limited Tax General Obligation Bonds,	No Opt. Call	N/R	560,581
	Refunding Series 2007, 5.375%, 12/01/21
1,000	Tallyn’s Reach Metropolitan District 3, Aurora, Colorado, Limited Tax General Obligation	12/13 at 100.00	N/R	1,024,740
	Bonds, Series 2004, 6.750%, 12/01/33
1,000	Three Springs Metropolitan District 3, Durango, La Plata County, Colorado, Property Tax	12/20 at 100.00	N/R	1,023,740
	Supported Revenue Bonds, Series 2010, 7.750%, 12/01/39
22,091	Total Colorado			21,891,594
	Connecticut – 0.6% (0.5% of Total Investments)
1,000	Harbor Point Infrastructure Improvement District, Connecticut, Special Obligation Revenue	4/20 at 100.00	N/R	1,110,200
	Bonds, Harbor Point Project, Series 2010A, 7.875%, 4/01/39
1,000	Mashantucket Western Pequot Tribe, Connecticut, Special Revenue Bonds, Subordinate Lien Series	No Opt. Call	N/R	369,450
	1997B, 5.750%, 9/01/27
500	Stamford, Connecticut, Special Obligation Revenue Bonds, Mill River Corridor Project, Series	4/21 at 100.00	N/R	516,305
	2011aA, 7.000%, 4/01/41
2,500	Total Connecticut			1,995,955
	District of Columbia – 0.4% (0.3% of Total Investments)
225	District of Columbia Tobacco Settlement Corporation, Tobacco Settlement Asset-Backed Bonds,	No Opt. Call	Baa1	244,526
	Series 2001, 6.500%, 5/15/33
1,000	District of Columbia, Revenue Bonds, Cesar Chavez Public Charter Schools for Public Policy,	11/20 at 100.00	BBB–	1,056,420
	Series 2011, 7.500%, 11/15/31
1,225	Total District of Columbia			1,300,946
	Florida – 11.0% (9.3% of Total Investments)
5,075	Beacon Lakes Community Development District, Florida, Special Assessment Bonds, Series 2003A,	5/13 at 101.00	N/R	5,163,813
	6.900%, 5/01/35
700	Broward County, Florida, Airport Facility Revenue Bonds, Learjet Inc., Series 2000, 7.500%,	11/14 at 101.00	Ba2	737,632
	11/01/20 (Alternative Minimum Tax)
980	Colonial Country Club Community Development District, Florida, Capital Improvement Revenue	5/13 at 101.00	A	1,015,760
	Bonds, Series 2003, 6.400%, 5/01/33
1,000	Florida Development Finance Corporation, Educational Facilities Revenue Bonds, Renaissance	No Opt. Call	BB+	1,050,510
	Charter School, Inc. Projects, Series 2011A, 7.625%, 6/15/41
8,015	Harmony Community Development District, Florida, Special Assessment Bonds, Series 2001,	5/14 at 103.25	N/R	8,310,273
	7.250%, 5/01/32
3,000	Jacksonville, Florida, Economic Development Commission Health Care Facilities Revenue Bonds,	9/17 at 100.00	N/R	3,107,460
	The Florida Proton Therapy Institute Project, Series 2007, 6.250%, 9/01/27
2,000	Martin County Industrial Development Authority, Florida, Industrial Development Revenue Bonds,	6/12 at 100.00	BB+	2,007,000
	Indiantown Cogeneration LP, Series 1994A, 7.875%, 12/15/25 (Alternative Minimum Tax)
1,000	Miami-Dade County, Florida, Aviation Revenue Bonds, Series 2008, Trust 1145, 18.280%,	10/18 at 100.00	AA–	1,179,080
	4/01/32 – AGC Insured (Alternative Minimum Tax) (IF) (4)
1,250	Miami-Dade County, Florida, Water and Sewer System Revenue Bonds, Tender Option Bond Trust	10/20 at 100.00	Aa2	1,702,750
	11834, 17.885%, 10/01/33 – AGM Insured (IF)
1,000	Mid-Bay Bridge Authority, Florida, Springing Lien Revenue Bonds, Series 2011, 7.250%, 10/01/34	No Opt. Call	BBB–	1,078,390
3,520	Palm Beach County Housing Finance Authority, Florida, Multifamily Housing Revenue Bonds, Lake	7/12 at 100.00	N/R	3,374,026
	Delray Apartments, Series 1999A, 6.400%, 1/01/31 (Alternative Minimum Tax)
3,885	Pine Island Community Development District, Florida, Special Assessment Bonds, Bella Collina,	5/12 at 101.00	N/R	2,938,497
	Series 2004, 5.750%, 5/01/35
1,000	Sarasota County Health Facility Authority, Florida, Revenue Bonds, Sarasota-Manatee Jewish	7/17 at 100.00	N/R	674,350
	Housing Council, Inc., Series 2007, 5.750%, 7/01/45
485	South Village Community Development District, Clay County, Florida, Capital Improvement	5/13 at 100.00	N/R	412,570
	Revenue Bonds, Series 2005A, 5.700%, 5/01/35
920	Tolomato Community Development District, Florida, Special Assessment Bonds, Series 2006,	5/14 at 101.00	BB	766,066
	5.400%, 5/01/37
1,715	Tolomato Community Development District, Florida, Special Assessment Bonds, Series 2007,	5/18 at 100.00	N/R	729,441
	6.650%, 5/01/40 (6)
4,485	Westchester Community Development District 1, Florida, Special Assessment Bonds, Series 2003,	5/13 at 101.00	N/R	4,325,783
	6.125%, 5/01/35
40,030	Total Florida			38,573,401
	Georgia – 0.7% (0.6% of Total Investments)
1,000	Fulton County Residential Care Facilities Authority, Georgia, Revenue Bonds, Elderly Care,	7/17 at 100.00	N/R	739,820
	Lenbrook Square Project, Series 2006A, 5.125%, 7/01/37
1,810	Fulton County Residential Care Facilities Authority, Georgia, Revenue Bonds, St. Anne’s	12/13 at 102.00	N/R	1,857,259
	Terrace, Series 2003, 7.625%, 12/01/33
2,810	Total Georgia			2,597,079
	Guam – 0.7% (0.6% of Total Investments)
2,445	Guam Government, General Obligation Bonds, 2009 Series A, 7.000%, 11/15/39	No Opt. Call	B+	2,595,832
	Hawaii – 0.8% (0.7% of Total Investments)
940	Hawaii State Department of Budget and Finance, Private School Revenue Bonds, Montessori of	2/17 at 100.00	N/R	847,119
	Maui, Series 2007, 5.500%, 1/01/37
1,655	Hawaii State Department of Budget and Finance, Special Purpose Revenue Bonds, Hawaiian	7/19 at 100.00	Baa1	1,830,380
	Electric Company, Inc. and Subsidiary Projects, Series 2009, 6.500%, 7/01/39
2,595	Total Hawaii			2,677,499
	Illinois – 9.6% (8.2% of Total Investments)
1,330	CenterPoint Intermodal Center Program, Illinois, Trust Series 2004 Class A Certificates,	12/12 at 100.00	N/R	1,333,179
	5.950%, 6/15/23
475	Chicago, Illinois, Certificates of Participation Tax Increment Revenue Notes,	6/12 at 100.00	N/R	475,238
	Chicago/Kingsbury Redevelopment Project, Series 2004A, 6.570%, 2/15/13
940	Chicago, Illinois, Certificates of Participation, Tax Increment Allocation Revenue Bonds,	7/12 at 100.00	N/R	939,868
	Diversey-Narragansett Project, Series 2006, 7.460%, 2/15/26
1,000	Evanston, Illinois, Educational Facility Revenue Bonds, Roycemore School Project, Series 2011,	7/21 at 100.00	N/R	1,051,300
	8.250%, 7/01/41
1,875	Illinois Finance Authority, Revenue Bonds, Admiral at Lake Project, Series 2010A,	5/20 at 100.00	N/R	1,897,238
	8.000%, 5/15/46
1,000	Illinois Finance Authority, Revenue Bonds, Elmhurst Memorial Healthcare, Series 2008A,	1/18 at 100.00	Baa1	1,038,100
	5.625%, 1/01/37
1,000	Illinois Finance Authority, Revenue Bonds, Midwest Regional Medical Center Galena-Stauss	10/16 at 100.00	N/R	648,570
	Hospital, Series 2006, 6.750%, 10/01/46 (7)
1,000	Illinois Finance Authority, Revenue Bonds, Montgomery Place Project, Series 2006A,	5/17 at 100.00	N/R	903,650
	5.750%, 5/15/38
1,250	Illinois Finance Authority, Revenue Bonds, OSF Healthcare System, Tender Option Bond Trust	11/17 at 100.00	A	1,696,500
	4702, 20.219%, 11/15/37 (IF) (4)
1,000	Illinois Finance Authority, Revenue Bonds, Provena Health, Series 2009A, 7.750%, 8/15/34	8/19 at 100.00	BBB+	1,218,320
2,000	Illinois Finance Authority, Revenue Bonds, Sherman Health Systems, Series 2007A,	8/17 at 100.00	BBB	2,030,760
	5.500%, 8/01/37
3,850	Illinois Finance Authority, Revenue Bonds, Silver Cross Hospital and Medical Centers, Series	8/19 at 100.00	BBB+	4,333,753
	2009, 7.000%, 8/15/44
	Illinois Finance Authority, Revenue Bonds, The Carle Foundation, Tender Option Bond Trust 3908:
250	21.689%, 2/15/19 – AGM Insured (IF) (4)	No Opt. Call	AA–	385,630
1,685	21.674%, 2/15/19 – AGM Insured (IF) (4)	No Opt. Call	AA–	2,598,455
7,800	Illinois Health Facilities Authority, Revenue Bonds, Lake Forest Hospital, Series 2002A,	7/12 at 100.00	AA+	7,885,332
	5.750%, 7/01/29 (UB)
1,105	Lombard Public Facilities Corporation, Illinois, First Tier Conference Center and Hotel	1/16 at 100.00	N/R	717,753
	Revenue Bonds, Series 2005A-1, 7.125%, 1/01/36
1,431	Lombard Public Facilities Corporation, Illinois, Third Tier Conference Center and Hotel	7/18 at 100.00	N/R	314,890
	Revenue Bonds, Series 2005C-3, 12.000%, 1/01/36 (6)
1,942	Plano Special Service Area 1, Illinois, Special Tax Bonds, Lakewood Springs Project, Series	3/14 at 102.00	N/R	1,969,071
	2004A, 6.200%, 3/01/34
996	Volo Village, Illinois, Special Service Area 3 Special Tax Bonds, Symphony Meadows Project 1,	3/16 at 102.00	N/R	826,720
	Series 2006, 6.000%, 3/01/36 (Mandatory put 2/29/16)
970	Yorkville United City Business District, Illinois, Storm Water and Water Improvement Project	1/17 at 102.00	N/R	644,749
	Revenue Bonds, Series 2007, 6.000%, 1/01/26
950	Yorkville, Illinois, Special Service Area 2005-108 Assessment Bonds, Autumn Creek Project,	3/16 at 102.00	N/R	785,812
	Series 2006, 6.000%, 3/01/36
33,849	Total Illinois			33,694,888
	Indiana – 4.9% (4.1% of Total Investments)
1,000	Anderson, Indiana, Multifamily Housing Revenue Bonds, Cross Lakes and Giant Oaks Apartments,	12/20 at 100.00	A–	1,096,480
	Series 2011A, 7.250%, 12/01/45
6,360	Carmel Redevelopment District, Indiana, Tax Increment Revenue Bonds, Series 2004A,	7/12 at 103.00	N/R	6,067,758
	6.650%, 1/15/24
1,000	Indiana Bond Bank, Special Program Bonds, Hendricks Regional Health Project, Tender Option	No Opt. Call	AA	1,858,030
	Bond Trust 10-77W, 19.360%, 4/01/30 – AMBAC Insured (IF) (4)
	Indiana Finance Authority, Revenue Bonds, Trinity Health Care Group, Tender Option Bond
	Trust 3611:
1,290	18.130%, 6/01/17 (IF) (4)	No Opt. Call	AA	1,625,039
1,250	19.125%, 6/01/17 (IF) (4)	No Opt. Call	AA	1,689,250
1,000	Indiana Health and Educational Facilities Financing Authority, Revenue Bonds, Ascension	11/16 at 100.00	AA+	1,182,280
	Health, Tender Option Bond Trust 3301, 18.374%, 11/15/30 (IF) (4)
2,500	Indiana Health Facility Financing Authority, Hospital Revenue Bonds, Community Foundation of	3/14 at 101.00	BBB+	2,598,725
	Northwest Indiana, Series 2004A, 6.000%, 3/01/34
1,000	St. Joseph County, Indiana, Economic Development Revenue Bonds, Chicago Trail Village	7/15 at 103.00	N/R	982,610
	Apartments, Series 2005A, 7.500%, 7/01/35
15,400	Total Indiana			17,100,172
	Iowa – 0.3% (0.2% of Total Investments)
1,000	Iowa Finance Authority, Health Facility Revenue Bonds, Care Initiatives Project, Series 2006A,	7/16 at 100.00	BB+	903,840
	5.500%, 7/01/25
	Louisiana – 4.0% (3.4% of Total Investments)
1,000	Louisana Public Facilities Authority, Revenue Bonds, Lake Charles Charter Academy Foundation	12/21 at 100.00	N/R	1,023,380
	Project, Series 2011A, 7.750%, 12/15/31
5,000	Louisiana Local Government Environmental Facilities & Community Development Authority, Revenue	11/17 at 100.00	BBB–	5,408,750
	Bonds, Westlake Chemical Corporation Project, Series 2007, 6.750%, 11/01/32
1,000	Louisiana Local Government Environmental Facilities and Community Development Authority,	9/16 at 100.00	N/R	46,100
	Carter Plantation Hotel Project Revenue Bonds, Series 2006A, 6.000%, 9/01/36 (6), (7)
1,000	Louisiana Local Government Environmental Facilities and Community Development Authority,	6/16 at 101.00	N/R	930,640
	Revenue Bonds, CDF Healthcare of Louisiana LLC, Series 2006A, 7.000%, 6/01/36
3,000	Louisiana Local Government Environmental Facilities and Community Development Authority,	12/17 at 100.00	N/R	1,425,090
	Revenue Bonds, Southgate Suites Hotel LLC Project, Series 2007A, 6.750%, 12/15/37 (6), (7), (8)
	Louisiana Local Government Environmental Facilities and Community Development Authority,
	Revenue Bonds, Womans Hospital Foundation Project, Tender Option Bonds Trust 1012:
750	20.543%, 10/01/40 (IF) (4)	10/20 at 100.00	A3	960,870
750	20.555%, 10/01/40 (IF) (4)	10/20 at 100.00	A3	960,735
1,500	Louisiana Public Facilities Authority, Revenue Bonds, Ochsner Clinic Foundation Project,	5/17 at 100.00	Baa1	1,521,645
	Series 2007A, 5.250%, 5/15/38
1,590	Louisiana Public Facilities Authority, Revenue Bonds, Ochsner Clinic Foundation, Series 2007B,	5/17 at 100.00	Baa1	1,626,570
	5.500%, 5/15/47
15,590	Total Louisiana			13,903,780
	Maine – 0.9% (0.8% of Total Investments)
3,155	Portland Housing Development Corporation, Maine, Section 8 Assisted Senior Living Revenue	2/14 at 102.00	Baa2	3,203,051
	Bonds, Avesta Housing Development Corporation, Series 2004A, 6.000%, 2/01/34
	Maryland – 1.4% (1.2% of Total Investments)
1,000	Baltimore, Maryland, Senior Lien Convention Center Hotel Revenue Bonds, Series 2006A, 5.250%,	9/16 at 100.00	BB+	936,440
	9/01/39 – SYNCORA GTY Insured
2,500	Maryland Economic Development Corporation, Revenue Bonds, Chesapeake Bay Hyatt Conference	12/16 at 100.00	N/R	1,691,775
	Center, Series 2006B, 5.250%, 12/01/31
2,000	Maryland Energy Financing Administration, Revenue Bonds, AES Warrior Run Project, Series 1995,	3/12 at 100.00	N/R	2,011,400
	7.400%, 9/01/19 (Alternative Minimum Tax)
435	Prince George’s County, Maryland, Revenue Bonds, Dimensions Health Corporation, Series 1994,	7/12 at 100.00	B3	330,561
	5.300%, 7/01/24
5,935	Total Maryland			4,970,176
	Massachusetts – 0.2% (0.2% of Total Investments)
330	Massachusetts Development Finance Agency, Pioneer Valley Resource Recovery Revenue Bonds,	No Opt. Call	N/R	323,565
	Eco/Springfield LLC, Series 2006, 5.875%, 7/01/14 (Alternative Minimum Tax)
1,350	Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Northern Berkshire	7/14 at 100.00	D	486,000
	Community Services Inc., Series 2004B, 6.375%, 7/01/34 (6), (7), (8)
85	Massachusetts Port Authority, Special Facilities Revenue Bonds, Delta Air Lines Inc., Series	7/12 at 100.00	N/R	69,891
	2001A, 5.000%, 1/01/27 – AMBAC Insured (Alternative Minimum Tax)
1,765	Total Massachusetts			879,456
	Michigan – 3.9% (3.3% of Total Investments)
1,145	Countryside Charter School, Berrien County, Michigan, Charter School Revenue Bonds, Series	4/12 at 100.00	N/R	1,059,984
	1999, 7.000%, 4/01/29
815	Countryside Charter School, Berrien County, Michigan, Charter School Revenue Bonds, Series	4/12 at 100.00	N/R	814,976
	2000, 8.000%, 4/01/29
	Detroit Local Development Finance Authority, Michigan, Tax Increment Bonds, Series 1998A:
1,300	5.500%, 5/01/21	5/12 at 100.00	B–	1,094,509
15	5.500%, 5/01/21 – ACA Insured	5/12 at 100.00	B–	12,629
1,000	Detroit, Michigan, Distributable State Aid General Obligation Bonds, Tender Option Bond Trust	No Opt. Call	AA	1,287,960
	3789, 18.481%, 5/01/18 (IF) (4)
	Garden City Hospital Finance Authority, Michigan, Revenue Bonds, Garden City Hospital
	Obligated Group, Series 2007A:
1,000	4.875%, 8/15/27	8/17 at 100.00	N/R	834,490
1,000	5.000%, 8/15/38	8/17 at 100.00	N/R	769,120
1,000	Michigan Finance Authoirty, Public School Academy Limited Obligation Revenue Bonds, Voyageur	7/21 at 100.00	BB	1,016,480
	Academy Project, Series 2011, 8.000%, 7/15/41
1,000	Michigan Finance Authority, Public School Academy Limited Obligation Revenue Bonds, Hope	4/21 at 100.00	N/R	1,095,930
	Academy Project, Series 2011, 8.125%, 4/01/41
1,000	Michigan Public Educational Facilities Authority, Limited Obligation Revenue Bonds, Chandler	11/15 at 100.00	BBB	1,006,460
	Park Academy Project, Series 2008, 6.500%, 11/01/35
1,000	Michigan Public Educational Facilities Authority, Limited Obligation Revenue Bonds, Richfield	9/17 at 100.00	BBB–	800,490
	Public School Academy, Series 2007, 5.000%, 9/01/36
1,500	Michigan State Hospital Finance Authority, Revenue Bonds, Hills and Dales General Hospital,	11/15 at 102.00	N/R	1,412,520
	Series 2005A, 6.750%, 11/15/38
1,000	Royal Oak Hospital Finance Authority, Michigan, Hospital Revenue Bonds, William Beaumont	9/18 at 100.00	A1	1,238,900
	Hospital, Refunding Series 2009V, 8.250%, 9/01/39
1,000	Summit Academy North, Michigan, Revenue Bonds, Public School Academy Series 2005,	11/15 at 100.00	BB+	847,350
	5.500%, 11/01/30
500	Summit Academy, Michigan, Revenue Bonds, Public School Academy Series 2005,	11/15 at 100.00	BB+	459,950
	6.375%, 11/01/35
14,275	Total Michigan			13,751,748
	Minnesota – 1.3% (1.1% of Total Investments)
1,325	Ramsey, Anoka County, Minnesota, Charter School Lease Revenue Bonds, PACT Charter School,	6/14 at 102.00	N/R	1,332,473
	Series 2004A, 6.750%, 12/01/33
1,185	St. Paul Housing and Redevelopment Authority, Minnesota, Charter School Revenue Bonds, Higher	6/14 at 102.00	N/R	1,207,894
	Ground Academy Charter School, Series 2004A, 6.625%, 12/01/23
1,100	St. Paul Housing and Redevelopment Authority, Minnesota, Charter School Revenue Bonds, HOPE	6/14 at 102.00	N/R	1,063,953
	Community Academy Charter School, Series 2004A, 6.750%, 12/01/33
1,000	St. Paul Port Authority, Minnesota, Lease Revenue Bonds, HealthEast Midway Campus, Series	5/15 at 100.00	N/R	1,006,330
	2005B, 6.000%, 5/01/30
4,610	Total Minnesota			4,610,650
	Mississippi – 0.5% (0.4% of Total Investments)
864	Mississippi Home Corporation, Multifamily Housing Revenue Bonds, Tupelo Personal Care	10/19 at 101.00	N/R	659,332
	Apartments, Series 2004-2, 6.125%, 9/01/34 (Alternative Minimum Tax)
1,000	Warren County, Mississippi, Gulf Opportunity Zone Revenue Bonds, International Paper Company	9/18 at 100.00	BBB	1,107,420
	Project, Series 2008A, 6.500%, 9/01/32
1,864	Total Mississippi			1,766,752
	Missouri – 1.9% (1.6% of Total Investments)
5,935	Missouri Environmental Improvement and Energy Resources Authority, Water Facility Revenue	12/16 at 100.00	AA+	6,069,606
	Bonds, Missouri-American Water Company, Series 2006, 4.600%, 12/01/36 – AMBAC Insured
	(Alternative Minimum Tax) (UB)
795	Saint Louis, Missouri, Tax Increment Financing Revenue Bonds, Grace Lofts Redevelopment	6/12 at 100.00	N/R	691,976
	Projects, Series 2007A, 6.000%, 3/27/26
6,730	Total Missouri			6,761,582
	Montana – 1.5% (1.3% of Total Investments)
2,700	Montana Board of Investments, Exempt Facility Revenue Bonds, Stillwater Mining Company, Series	7/12 at 100.00	B+	2,721,519
	2000, 8.000%, 7/01/20 (Alternative Minimum Tax)
2,450	Montana Board of Investments, Resource Recovery Revenue Bonds, Yellowstone Energy LP, Series	No Opt. Call	N/R	2,437,040
	1993, 7.000%, 12/31/19 (Alternative Minimum Tax)
5,150	Total Montana			5,158,559
	Nebraska – 3.2% (2.7% of Total Investments)
6,485	Omaha Public Power District, Nebraska, Separate Electric System Revenue Bonds, Nebraska	2/17 at 100.00	AA+	11,071,062
	City 2, Series 2006A, 20.018%, 8/01/40 – AMBAC Insured (IF)
	Nevada – 0.0% (0.0% of Total Investments)
4,500	Director of Nevada State Department of Business and Industry, Revenue Bonds, Las Vegas	7/12 at 100.00	N/R	5,400
	Monorail Project, Second Tier, Series 2000, 7.375%, 1/01/40 (6)
	New Jersey – 3.1% (2.6% of Total Investments)
1,500	New Jersey Economic Development Authority, Cigarette Tax Revenue Bonds, Series 2004,	6/14 at 100.00	BBB	1,568,280
	5.750%, 6/15/29
1,660	New Jersey Economic Development Authority, Special Facilities Revenue Bonds, Continental	3/12 at 100.00	B	1,659,851
	Airlines Inc., Series 1999, 6.250%, 9/15/29 (Alternative Minimum Tax)
500	New Jersey Economic Development Authority, Special Facilities Revenue Bonds, Continental	5/12 at 100.00	B	500,035
	Airlines Inc., Series 2000, 7.000%, 11/15/30 (Alternative Minimum Tax)
1,000	New Jersey Economic Development Authority, Student Housing Revenue Bonds, Provident	6/20 at 100.00	Baa3	1,077,320
	Group-Montclair Properties LLC, Montclair State University Student Housing Project, Series
	2010A, 5.875%, 6/01/42
600	New Jersey Educational Facilities Authority, Revenue Refunding Bonds, University of Medicine	6/19 at 100.00	A–	734,208
	and Dentistry of New Jersey, Series 2009B, 7.500%, 12/01/32
2,000	New Jersey Health Care Facilities Financing Authority, New Jersey, Revenue Bonds, Saint Peters	7/18 at 100.00	BBB–	2,081,940
	University Hospital, Series 2007, 5.750%, 7/01/37
2,000	New Jersey Health Care Facilities Financing Authority, Revenue Bonds, Saint Joseph’s	7/18 at 100.00	BBB–	2,061,340
	Healthcare System Obligated Group Issue, Series 2008, 6.625%, 7/01/38
1,000	New Jersey Higher Education Assistance Authority, Student Loan Revenue Bonds, Series 2008A,	6/18 at 100.00	AA–	1,091,780
	6.125%, 6/01/30 – AGC Insured (Alternative Minimum Tax)
10,260	Total New Jersey			10,774,754
	New York – 1.9% (1.6% of Total Investments)
1,000	Brooklyn Arena Local Development Corporation, New York, Payment in Lieu of Taxes Revenue	No Opt. Call	BBB–	1,071,360
	Bonds, Barclays Center Project, Series 2009, 6.375%, 7/15/43
1,500	New York City Industrial Development Agency, New York, American Airlines-JFK International	No Opt. Call	N/R	1,352,970
	Airport Special Facility Revenue Bonds, Series 2005, 7.500%, 8/01/16 (Alternative Minimum Tax)
	New York City Industrial Development Agency, New York, Civic Facility Revenue Bonds, Bronx
	Parking Development Company, LLC Project, Series 2007:
1,000	5.750%, 10/01/37	10/17 at 100.00	N/R	506,700
3,000	5.875%, 10/01/46	10/17 at 102.00	N/R	1,519,770
1,700	New York City Industrial Development Agency, New York, Special Facilities Revenue Bonds,	2/12 at 100.00	N/R	459,833
	American Airlines Inc., Series 1994, 6.900%, 8/01/24 (Alternative Minimum Tax) (6)
1,375	New York Liberty Development Corporation, Second Priority Liberty Revenue Refunding Bonds,	1/20 at 100.00	BBB	1,492,178
	Bank of America Tower at One Bryant Park Project, Series 2010, 6.375%, 7/15/49
265	Port Authority of New York and New Jersey, Special Project Bonds, JFK International Air	12/20 at 100.00	BBB–	286,664
	Terminal LLC Project, Eighth Series 2010, 6.000%, 12/01/42
9,840	Total New York			6,689,475
	North Carolina – 2.3% (1.9% of Total Investments)
940	Charlotte-Mecklenberg Hospital Authority, North Carolina, Health Care Revenue Bonds, Carolinas	No Opt. Call	AA–	1,279,744
	HealthCare System, Tender Option Bond Trust 11963, 19.194%, 1/15/19 (IF)
5,250	North Carolina Capital Facilities Finance Agency, Solid Waste Facilities Revenue Bonds,	7/12 at 106.00	N/R	4,889,430
	Liberty Tire Services of North Carolina LLC, Series 2004A, 6.750%, 7/01/29
960	North Carolina Capital Facilities Financing Agency, Revenue Bonds, Duke University, Series	10/16 at 100.00	AA+	1,829,136
	2008, Tender Option Bonds Trust 3248, 27.656%, 10/01/21 (IF)
7,150	Total North Carolina			7,998,310
	Ohio – 2.7% (2.3% of Total Investments)
	Buckeye Tobacco Settlement Financing Authority, Ohio, Tobacco Settlement Asset-Backed Revenue
	Bonds, Senior Lien, Series 2007A-2:
315	5.125%, 6/01/24	6/17 at 100.00	B–	248,450
4,375	5.750%, 6/01/34	6/17 at 100.00	B+	3,257,756
2,850	Cleveland-Cuyahoga County Port Authority, Ohio, Development Revenue Bonds, Bond Fund Program –	5/14 at 102.00	BBB–	2,693,450
	Garfield Heights Project, Series 2004D, 5.250%, 5/15/23
1,270	Medina County Port Authority, Ohio, Development Revenue Bond, Fiber Network Project, Series	12/20 at 100.00	A+	1,430,680
	2010B, 6.000%, 12/01/30
500	Ohio, Environmental Facilities Revenue Bonds, Ford Motor Company, Series 2005, 5.750%, 4/01/35	4/15 at 100.00	BB+	501,460
	(Alternative Minimum Tax)
1,000	State of Ohio, Solid Waste Disposal Revenue Bonds (USG Corporation Project) Series 1997	2/12 at 100.00	B–	746,040
	Remarketed, 5.600%, 8/01/32 (Alternative Minimum Tax)
4,000	Western Reserve Port Authority, Ohio, Solid Waste Facility Revenue Bonds, Central Waste Inc.,	7/17 at 102.00	N/R	560,040
	Series 2007A, 6.350%, 7/01/27 (Alternative Minimum Tax) (6)
14,310	Total Ohio			9,437,876
	Oklahoma – 0.8% (0.7% of Total Investments)
1,000	Fort Sill Apache Tribe of Oklahoma Economic Development Authority, Gaming Enterprise Revenue	8/21 at 100.00	N/R	1,013,910
	Bonds, Fort Sill Apache Casino, Series 2011A, 8.500%, 8/25/26
940	Okeene Municipal Hospital and Schallmo Authority, Oklahoma, Revenue Bonds, Series 2006,	1/16 at 101.00	N/R	812,094
	7.000%, 1/01/35
1,500	Tulsa Municipal Airport Trust, Oklahoma, Revenue Refunding Bonds, American Airlines Inc.,	No Opt. Call	N/R	1,150,905
	Series 2004A, 7.750%, 6/01/35 (Mandatory put 12/01/14)
3,440	Total Oklahoma			2,976,909
	Pennsylvania – 1.6% (1.3% of Total Investments)
1,500	Allegheny County Hospital Development Authority, Pennsylvania, Revenue Bonds, West Penn	11/17 at 100.00	B+	1,229,730
	Allegheny Health System, Series 2007A, 5.375%, 11/15/40
325	Allentown Area Hospital Authority, Pennsylvania, Revenue Bonds, Sacred Heart Hospital, Series	No Opt. Call	N/R	316,417
	2005, 6.000%, 11/15/16
945	Berks County Industrial Development Authority, Pennsylvania, First Mortgage Revenue Bonds, One	11/17 at 101.00	N/R	868,502
	Douglassville Properties Project, Series 2007A, 6.125%, 11/01/34 (Alternative Minimum Tax)
2,000	Chester County Health and Education Facilities Authority, Pennsylvania, Revenue Bonds,	10/15 at 102.00	N/R	1,950,040
	Immaculata University, Series 2005, 5.750%, 10/15/37
400	Chester County Industrial Development Authority, Pennsylvania, Avon Grove Charter School	12/17 at 100.00	BB+	387,180
	Revenue Bonds, Series 2007A, 6.375%, 12/15/37
1,000	Pennsylvania Economic Development Finance Authority, Solid Waste Disposal Revenue Bonds (USG	6/12 at 100.00	B–	791,150
	Corporation Project) Series 1999, 6.000%, 6/01/31 (Alternative Minimum Tax)
6,170	Total Pennsylvania			5,543,019
	Rhode Island – 1.6% (1.4% of Total Investments)
1,000	Rhode Island Student Loan Authority, Student Loan Program Revenue Bonds, Series 2008A, 6.750%,	12/17 at 100.00	A	1,110,990
	12/01/28 (Alternative Minimum Tax)
4,565	Rhode Island Tobacco Settlement Financing Corporation, Tobacco Settlement Asset-Backed Bonds,	6/12 at 100.00	Ba1	4,565,000
	Series 2002A, 6.250%, 6/01/42
5,565	Total Rhode Island			5,675,990
	South Carolina – 0.8% (0.7% of Total Investments)
4,000	Lancaster County, South Carolina, Assessment Bonds, Edgewater II Improvement District, Series	11/17 at 100.00	N/R	2,004,440
	2007A, 7.750%, 11/01/39 (6), (7)
625	South Carolina Jobs-Economic Development Authority, Hospital Revenue Bonds, Palmetto Health,	8/21 at 100.00	AA–	729,456
	Refunding Series 2011A, 6.500%, 8/01/39 – AGM Insured
4,625	Total South Carolina			2,733,896
	Tennessee – 2.2% (1.9% of Total Investments)
2,500	Johnson City Health and Educational Facilities Board, Tennessee, Hospital Revenue Bonds,	7/20 at 100.00	BBB+	2,814,350
	Mountain States Health Alliance, Refunding Series 2010A, 6.500%, 7/01/38
	Sumner County Health, Educational, and Housing Facilities Board, Tennessee, Revenue Refunding
	Bonds, Sumner Regional Health System Inc., Series 2007:
2,000	5.500%, 11/01/37 (6), (7)	11/17 at 100.00	N/R	147,820
500	5.500%, 11/01/46 (6), (7)	11/17 at 100.00	N/R	36,955
4,000	The Tennessee Energy Acquisition Corporation, Gas Revenue Bonds, Series 2006B, 5.625%, 9/01/26	No Opt. Call	N/R	4,034,680
965	Wilson County Health and Educational Facilities Board, Tennessee, Senior Living Revenue Bonds,	7/17 at 100.00	N/R	583,883
	Rutland Place, Series 2007A, 6.300%, 7/01/37
9,965	Total Tennessee			7,617,688
	Texas – 10.4% (8.8% of Total Investments)
2,000	Austin Convention Enterprises Inc., Texas, Convention Center Hotel Revenue Bonds, Second Tier	1/17 at 100.00	Ba2	1,935,820
	Series 2006B, 5.750%, 1/01/34
1,715	Austin Convention Enterprises Inc., Texas, Convention Center Hotel Revenue Bonds, Third Tier	7/12 at 100.00	N/R	1,743,778
	Series 2001C, 9.750%, 1/01/26
550	Bexar County Housing Finance Corporation, Texas, Multifamily Housing Revenue Bonds, America	1/13 at 100.00	Baa2	516,065
	Opportunity for Housing – Colinas LLC Project, Series 2001A, 5.800%, 1/01/31 – NPFG Insured
700	Brazos River Authority, Texas, Pollution Control Revenue Refunding Bonds, TXU Electric	7/18 at 100.00	CCC	133,119
	Company, Series 2001D, 8.250%, 5/01/33 (Alternative Minimum Tax)
1,000	Central Texas Regional Mobility Authority, Senior Lien Revenue Bonds, Series 2011,	1/21 at 100.00	BB+	1,051,140
	6.750%, 1/01/41
1,000	Clifton Higher Education Finance Corporation, Texas, Education Revenue Bonds, Uplift Education	12/20 at 100.00	BBB–	1,056,730
	Charter School, Series 2010A, 6.000%, 12/01/30
2,000	Clifton Higher Education Finance Corporation, Texas, Education Revenue Bonds, Tejano Center	No Opt. Call	BBB–	2,251,680
	for Community Concerns, Inc.-Raul Yzaguirre School for Success, Refunding Series 2009A,
	9.000%, 2/15/38
1,750	Dallas-Ft. Worth International Airport Facility Improvement Corporation, Texas, Revenue Bonds,	11/12 at 100.00	N/R	460,635
	American Airlines Inc., Series 2007, 5.500%, 11/01/30 (Alternative Minimum Tax) (6)
	Decatur Hospital Authority, Texas, Revenue Bonds, Wise Regional Health System, Series 2004A:
1,840	7.000%, 9/01/25	9/14 at 100.00	N/R	1,864,454
6,600	7.125%, 9/01/34	9/14 at 100.00	N/R	6,659,268
585	Gulf Coast Industrial Development Authority, Texas, Solid Waste Disposal Revenue Bonds, Citgo	4/12 at 100.00	Ba2	586,445
	Petroleum Corporation Project, Series 1998, 8.000%, 4/01/28 (Alternative Minimum Tax)
2,045	Harris County-Houston Sports Authority, Texas, Revenue Bonds, Senior Lien Series 2001G,	5/12 at 100.00	BBB	2,009,131
	5.250%, 11/15/30 – NPFG Insured
1,000	Heart of Texas Education Finance Corporation, Texas, Gateway Charter Academy, Series 2006A,	8/16 at 100.00	N/R	887,600
	6.000%, 2/15/36
	Houston, Texas, Airport System Special Facilities Revenue Bonds, Continental Air Lines Inc.,
	Series 2001E:
600	7.375%, 7/01/22 (Alternative Minimum Tax)	7/12 at 100.00	B–	604,254
975	6.750%, 7/01/29 (Alternative Minimum Tax)	7/12 at 100.00	B–	980,070
1,000	La Vernia Education Financing Corporation, Texas, Charter School Revenue Bonds, Riverwalk	2/12 at 100.00	N/R	827,550
	Education Foundation, Series 2007A, 5.450%, 8/15/36
2,250	North Texas Tollway Authority, Special Projects System Revenue Bonds, Tender Option Bond Trust	No Opt. Call	AA	3,676,680
	11946, 20.232%, 3/01/19 (IF)
1,810	Texas Private Activity Bond Surface Transporation Corporation, Senior Lien Revenue Bonds, NTE	12/19 at 100.00	Baa2	2,018,259
	Mobility Partners LLC North Tarrant Express Managed Lanes Project, Series 2009,
	6.875%, 12/31/39
5,500	Texas Private Activity Bond Surface Transportation Corporation, Senior Lien Revenue Bonds, LBJ	6/20 at 100.00	Baa3	6,211,590
	Infrastructure Group LLC IH-635 Managed Lanes Project, Series 2010, 7.000%, 6/30/40
340	Trinity River Authority of Texas, Pollution Control Revenue Refunding Bonds, TXU Electric	5/13 at 101.00	CC	54,461
	Company, Series 2003, 6.250%, 5/01/28 (Alternative Minimum Tax)
1,000	Tyler Health Facilities Development Corporation, Texas, Hospital Revenue Bonds, East Texas	11/17 at 100.00	Baa2	1,005,330
	Medical Center Regional Healthcare System, Series 2007A, 5.250%, 11/01/32
36,260	Total Texas			36,534,059
	Utah – 0.9% (0.7% of Total Investments)
1,000	Utah State Charter School Finance Authority, Charter School Revenue Bonds, Noah Webster	6/17 at 100.00	N/R	956,530
	Academy, Series 2008A, 6.250%, 6/15/28
1,980	Utah State Charter School Finance Authority, Charter School Revenue Bonds, Summit Academy High	5/21 at 100.00	N/R	2,095,988
	School, Series 2011A, 8.125%, 5/15/31
2,980	Total Utah			3,052,518
	Vermont – 0.4% (0.3% of Total Investments)
1,155	Vermont Educational and Health Buildings FInancing Agency, Revenue Bonds, Vermont Law School	1/21 at 100.00	Baa2	1,259,528
	Project, Series 2011A, 6.250%, 1/01/41
	Virgin Islands – 2.1% (1.8% of Total Investments)
420	Virgin Islands Public Finance Authority, Matching Fund Revenue Loan Note – Diageo Project,	10/19 at 100.00	BBB	470,039
	Series 2009A, 6.750%, 10/01/37
5,000	Virgin Islands Public Finance Authority, Revenue Bonds, Refinery Project – Hovensa LLC, Series	1/14 at 100.00	Ba2	5,004,600
	2003, 6.125%, 7/01/22 (Alternative Minimum Tax)
2,000	Virgin Islands Public Finance Authority, Senior Secured Lien Revenue Bonds, Refinery Project –	7/14 at 100.00	Ba2	2,002,380
	Hovensa LLC, Series 2004, 5.875%, 7/01/22
7,420	Total Virgin Islands			7,477,019
	Virginia – 1.1% (0.9% of Total Investments)
1,000	Celebrate Virginia North Community Development Authority, Special Assessment Revenue Bonds,	3/14 at 102.00	N/R	687,640
	Series 2003B, 6.250%, 3/01/18
1,000	Giles County Industrial Development Authority, Virginia, Exempt Facility Revenue Bonds,	5/12 at 100.00	B+	1,000,300
	Hoechst Celanese Project, Series 1996, 6.450%, 5/01/26
9,400	Metropolitan Washington Airports Authority, Virginia, Dulles Toll Road Revenue Bonds, Capital	No Opt. Call	BBB+	2,102,216
	Appriciation Series 2009B-2, 0.000%, 10/01/38 – AGC Insured
11,400	Total Virginia			3,790,156
	Washington – 2.3% (2.0% of Total Investments)
500	FYI Properties, Washington, Lease Revenue Bonds, Washington State Department of Information	6/19 at 100.00	AA	727,220
	Services Project, Tender Option Bond Trust 11-14W-B, 20.007%, 6/01/39 (IF) (4)
	Vancouver Downtown Redevelopment Authority, Washington, Revenue Bonds, Conference Center
	Project, Series 2003A:
1,780	6.000%, 1/01/28 – ACA Insured	1/14 at 100.00	N/R	1,200,147
4,745	6.000%, 1/01/34 – ACA Insured	1/14 at 100.00	N/R	2,885,909
2,660	5.250%, 1/01/34 – ACA Insured	1/14 at 100.00	N/R	1,540,512
2,000	Washington State Health Care Facilities Authority, Revenue Bonds, Northwest Hospital and	No Opt. Call	N/R	1,844,240
	Medical Center of Seattle, Series 2007, 5.700%, 12/01/32
11,685	Total Washington			8,198,028
	West Virginia – 0.3% (0.3% of Total Investments)
500	Ohio County Commission, West Virginia, Special District Excise Tax Revenue Bonds, Fort Henry	3/16 at 100.00	BBB	521,980
	Economic Development, Series 2006B, 5.625%, 3/01/36
500	Ohio County Commission, West Virginia, Tax Increment Revenue Bonds, Fort Henry Centre	No Opt. Call	N/R	506,800
	Financing District, Series 2007A, 5.850%, 6/01/34
1,000	Total West Virginia			1,028,780
	Wisconsin – 4.3% (3.6% of Total Investments)
550	Lac Courte Oreilles Band of Lake Superior Chippewa Indians, Wisconsin, Revenue Bonds, Series	12/14 at 101.00	N/R (5)	665,627
	2003A, 7.750%, 6/01/16 (Pre-refunded 12/01/14)
1,000	Lac Courte Oreilles Band of Lake Superior Chippewa Indians, Wisconsin, Revenue Bonds, Series	12/18 at 102.00	N/R	926,040
	2006, 7.000%, 12/01/26
1,650	Public Finance Authority of Wisconsin, Charter School Revenue Bonds, Thomas Jefferson	7/19 at 100.00	BBB–	1,722,897
	Classical Academy, Series 2011, 7.125%, 7/01/42
1,000	Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Southwest Health Center	4/14 at 100.00	N/R	1,002,600
	Inc., Series 2004A, 6.250%, 4/01/34
	Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Wheaton Franciscan
	Healthcare System, Series 2006:
5,995	5.250%, 8/15/26 (UB)	8/16 at 100.00	A–	6,143,736
4,500	5.250%, 8/15/34 (UB)	8/16 at 100.00	A–	4,524,210
14,695	Total Wisconsin			14,985,110
$ 440,785	Total Investments (cost $400,951,001) – 118.1%			413,406,465
	Floating Rate Obligations – (5.2)%			(18,170,000)
	Borrowings – (14.3)% (9), (10)			(50,000,000)
	Other Assets Less Liabilities – 1.4% (11)			4,721,189
	Net Assets Applicable to Common Shares – 100%			$ 349,957,654

Investments in Derivatives at January 31, 2012:

Swaps outstanding:

Fund

Fixed Rate

Unrealized

Notional

Pay/Receive

Floating Rate

Fixed Rate

Payment

Effective

Termination

Appreciation

Counterparty

Amount

Floating Rate

Index

(Annualized)

Frequency

Date (12)

Date

(Depreciation)

Barclays Bank PLC

50,000,000

Receive

1-Month USD-LIBOR

1.333

Monthly

4/25/11

4/25/14

(1,107,576

)

Morgan Stanley

4,000,000

Receive

3-Month USD-LIBOR

4.356

Semi-Annually

5/25/12

5/25/41

(1,451,582

)

(2,559,158

)

Fair Value Measurements

Fair value is defined as the price that the Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad levels listed below:

Level 1 – Quoted prices in active markets for identical securities.

Level 2 – Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3 – Significant unobservable inputs (including management's assumptions in determining the fair value of investments).

The inputs or methodologies used for valuing securities are not an indication of the risk associated with investing in those securities. The following is a summary of the Fund's fair value measurements as of January 31, 2012:


	Level 1		Level 2			Level 3		Total
Investments:
Municipal Bonds	$	—	$	408,611,490		$	4,794,975	$	413,406,465
Derivatives:
Swaps*		—		(2,559,158	)		–		(2,559,158	)
Total	$	—	$	406,052,332		$	4,794,975	$	410,847,307
* Represents net unrealized appreciation (depreciation) as reported in the Fund’s Portfolio of Investments.

The following is a reconciliation of the Fund's Level 3 investments held at the beginning and end of the measurement period:


	Level 3
	Municipal Bonds
Balance at the beginning of period	$ 6,473,337
Gains (losses):
Net realized gains (losses)	(792,702)
Net change in unrealized appreciation (depreciation)	647,101
Purchases at cost	—
Sales at proceeds	(388,838)
Net discounts (premiums)	—
Transfers in to	—
Transfers out of	(1,143,923)
Balance at the end of period	$ 4,794,975

During the period ended January 31, 2012, the Fund recognized no significant transfers to or from Level 1 or Level 2. Transfers in and/or out of Level 3 are shown using end of period values.

Derivative Instruments and Hedging Activities

The Fund records derivative instruments at fair value, with changes in fair value recognized on the Statement of Operations, when applicable. Even though the Fund’s investments in derivatives may represent economic hedges, they are not considered to be hedge transactions for financial reporting purposes.

The following table presents the fair value of all derivative instruments held by the Fund as of January 31, 2012, the location of these instruments on the Statement of Assets and Liabilities, and the primary underlying risk exposure.


		Location on the Statement of Assets and Liabilities
Underlying	Derivative	Asset Derivatives		Liability Derivatives
Risk Exposure	Instrument	Location	Value	Location	Value
Interest Rate	Swaps	Unrealized appreciation on swaps*	$ —	Unrealized depreciation on swaps*	$2,559,158
* Value represents cumulative gross unrealized appreciation (depreciation) of swap contracts as reported in the Fund’s Portfolio of Investments.

Income Tax Information

The following information is presented on an income tax basis. Differences between amounts for financial statement and federal income tax purposes are primarily due to timing differences in recognizing taxable market discount, timing differences in recognizing certain gains and losses on investment transactions and the treatment of investments in inverse floating rate securities reflected as financing transactions, if any. To the extent that differences arise that are permanent in nature, such amounts are reclassified within the capital accounts on the Statement of Assets and Liabilities presented in the annual report, based on their federal tax basis treatment; temporary differences do not require reclassification. Temporary and permanent differences do not impact the net asset value of the Fund.

At January 31, 2012, the cost of investments (excluding investments in derivatives) was $384,516,346.

Gross unrealized appreciation and gross unrealized depreciation of investments (excluding investments in derivatives) at January 31, 2012, were as follows:


Gross unrealized:
Appreciation	$	47,709,629
Depreciation		(36,989,452	)
Net unrealized appreciation (depreciation) of investments	$	10,720,177


(1)		All percentages shown in the Portfolio of Investments are based on net assets applicable to Common
		shares unless otherwise noted.
(2)		Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption.
		There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities
		may be subject to periodic principal paydowns.
(3)		Ratings: Using the highest of Standard & Poor’s Group ("Standard & Poor's"), Moody’s Investors Service,
		Inc. ("Moody's") or Fitch, Inc. ("Fitch") rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s
		or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated
		by any of these national rating agencies.
(4)		Investment, or portion of investment, has been pledged to collateralize the net payment obligations
		for investments in derivatives and/or inverse floating rate transactions.
(5)		Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency
		securities, which ensure the timely payment of principal and interest. Certain bonds backed by U.S.
		Government or agency securities are regarded as having an implied rating equal to the rating of
		such securities.
(6)		At or subsequent to the end of the reporting period, this security is non-income producing. Non-income
		producing security, in the case of a bond, generally denotes that the issuer has (1) defaulted on the
		payment of principal or interest, (2) is under the protection of the Federal Bankruptcy Court or (3) the
		Fund’s Adviser has concluded that the issue is not likely to meet its future interest payment obligations
		and has directed the Fund’s custodian to cease accruing additional income on the Fund’s records.
(7)		For fair value measurement disclosure purposes, investment categorized as Level 3.
(8)		Investment valued at fair value using methods determined in good faith by, or at the discretion of, the
		Board of Trustees.
(9)		Borrowings as a percentage of Total Investments is 12.1%.
(10)		The Fund segregates 100% of its eligible investments in the Portfolio of Investents as collateral
		for Borrowings.
(11)		Other Assets Less Liabilities includes the net Unrealized Appreciation (Depreciation) of derivative
		instruments as noted within Investments in Derivatives at January 31, 2012.
(12)		Effective date represents the date on which both the Fund and Counterparty commence interest
		payment accruals on each swap contract.
N/R		Not rated.
WI/DD		Purchased on a when-issued or delayed delivery basis.
(ETM)		Escrowed to maturity.
(IF)		Inverse floating rate investment.
(UB)		Underlying bond of an inverse floating rate trust reflected as a financing transaction.
USD-LIBOR		United States Dollar-London Inter-Bank Offered Rate

Item 2. Controls and Procedures.

The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a-15(b) or 240.15d-15(b)).

There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting.

Item 3. Exhibits.

File as exhibits as part of this Form a separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)), exactly as set forth below: See EX-99 CERT attached hereto.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant) Nuveen Municipal High Income Opportunity Fund

By (Signature and Title) /s/ Kevin J. McCarthy

Kevin J. McCarthy

Vice President and Secretary

Date March 30, 2012

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title) /s/ Gifford R. Zimmerman

Gifford R. Zimmerman

Chief Administrative Officer (principal executive officer)

Date March 30, 2012

By (Signature and Title) /s/ Stephen D. Foy

Stephen D. Foy

Vice President and Controller (principal financial officer)

Date March 30, 2012